Related papers: PDE methods in random matrix theory
We study the Brown measure of certain non-hermitian operators arising from Voiculescu's free probability theory. Usually those operators appear as the limit in *-moments of certain ensembles of non-hermitian random matrices, and the Brown…
We show how the combination of new "linearization" ideas in free probability theory with the powerful "realization" machinery -- developed over the last 50 years in fields including systems engineering and automata theory -- allows solving…
Let $x_0$ be an unbounded self-adjoint operator such that the Brown measure of $x_0$ exists in the sense of Haagerup and Schultz. Also let $\tilde\sigma_\alpha$ and $\sigma_\beta$ be semicircular variables with variances $\alpha\geq 0$ and…
The approach to the theory of a relativistic random process is considered by the path integral method as Brownian motion taking into account the boundedness of speed. An attempt was made to build a relativistic analogue of the Wiener…
The free multiplicative Brownian motion $b_{t}$ is the large-$N$ limit of the Brownian motion on $\mathsf{GL}(N;\mathbb{C}),$ in the sense of $\ast $-distributions. The natural candidate for the large-$N$ limit of the empirical distribution…
The goal of these expository notes is to give an introduction to random matrices for non-specialist of this topic focusing on the link between random matrices and systems of particles in interaction. We first recall some general results…
Given an $n\times n$ random matrix $X_n$ with i.i.d. entries of unit variance, the circular law says that the empirical spectral distribution (ESD) of $X_n/\sqrt{n}$ converges to the uniform measure on the unit disk. Let $M_n$ be a…
The theory of direct integral decompositions of both bounded and unbounded operators is further developed; in particular, results about spectral projections, functional calculus and affiliation to von Neumann algebras are proved. For…
We review how the identification of gauge theory operators representing string states in the pp-wave/BMN correspondence and their associated anomalous dimension reduces to the determination of the eigenvectors and the eigenvalues of a…
We consider $n\times n$ non-Hermitian random matrices with independent entries and a variance profile, as well as an additive deterministic diagonal deformation. We show that their empirical eigenvalue distribution converges to a limiting…
We present a random measure approach for modeling exploration, i.e., the execution of measure-valued controls, in continuous-time reinforcement learning (RL) with controlled diffusion and jumps. First, we consider the case when sampling the…
We establish high probability estimates on the eigenvalue locations of Brownian motion on the $N$-dimensional unitary group, as well as estimates on the number of eigenvalues lying in any interval on the unit circle. These estimates are…
A functional limit theorem for the empirical measure-valued process of eigenvalues of a matrix fractional Brownian motion is obtained. It is shown that the limiting measure-valued process is the non-commutative fractional Brownian motion…
We offer an alternative viewpoint on Dyson's original paper regarding the application of Brownian motion to random matrix theory (RMT). In particular we show how one may use the same approach in order to study the stochastic motion in the…
We consider matrix-valued processes described as solutions to stochastic differential equations of very general form. We study the family of the empirical measure-valued processes constructed from the corresponding eigenvalues. We show that…
We present a modified Brownian motion model for random matrices where the eigenvalues (or levels) of a random matrix evolve in "time" in such a way that they never cross each other's path. Also, owing to the exact integrability of the level…
Putting dynamics into random matrix models leads to finitely many nonintersecting Brownian motions on the real line for the eigenvalues, as was discovered by Dyson. Applying scaling limits to the random matrix models, combined with Dyson's…
We introduce several notions of random positive operator valued measures (POVMs), and we prove that some of them are equivalent. We then study statistical properties of the effect operators for the canonical examples, obtaining limiting…
It is well-known from the work of Kupper and Schachermayer that most law-invariant risk measures do not admit a time-consistent representation. In this work we show that in a Brownian filtration the "Optimized Certainty Equivalent" risk…
We consider a family of free multiplicative Brownian motions $b_{s,\tau}$ parametrized by a real variance parameter $s$ and a complex covariance parameter $\tau.$ We compute the Brown measure $\mu_{s,\tau}$ of $ub_{s,\tau },$ where $u$ is a…